-- Id: 16596 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=31&t=63832 --+------------------------------------------------------------------+ --| Copyright © 2018, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash: 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ function Init() --The strategy profile initialization strategy:name("MTF RSI Strategy"); strategy:description(""); strategy:setTag("NonOptimizableParameters", "Email,SendEmail,SoundFile,RecurrentSound,PlaySound, ShowAlert"); strategy.parameters:addGroup("Price"); strategy.parameters:addString("Type", "Price Type", "", "Bid"); strategy.parameters:addStringAlternative("Type", "Bid", "", "Bid"); strategy.parameters:addStringAlternative("Type", "Ask", "", "Ask"); strategy.parameters:addString("TF", "Trading Time frame", "", "t1"); strategy.parameters:setFlag("TF", core.FLAG_PERIODS); strategy.parameters:addGroup("1. Time Frame"); strategy.parameters:addString("TF1", "Time frame", "", "H1"); strategy.parameters:setFlag("TF1", core.FLAG_PERIODS); strategy.parameters:addInteger("N1", "Period", "Period", 14, 1, 1000); strategy.parameters:addString("Price1", "Price", "", "close"); strategy.parameters:addStringAlternative("Price1", "close", "", "close"); strategy.parameters:addStringAlternative("Price1", "open", "", "open"); strategy.parameters:addStringAlternative("Price1", "high", "", "high"); strategy.parameters:addStringAlternative("Price1", "low", "", "low"); strategy.parameters:addStringAlternative("Price1", "median", "", "median"); strategy.parameters:addStringAlternative("Price1", "typical", "", "typical"); strategy.parameters:addStringAlternative("Price1", "weighted", "", "weighted"); strategy.parameters:addDouble("BL1", "Buy Level", "Level", 20); strategy.parameters:addDouble("SL1", "Sell Level", "Level", 80); strategy.parameters:addGroup("2. Time Frame"); strategy.parameters:addString("TF2", "Time frame", "", "H8"); strategy.parameters:setFlag("TF2", core.FLAG_PERIODS); strategy.parameters:addInteger("N2", "Period", "Period", 14, 1, 1000); strategy.parameters:addString("Price2", "Price", "", "close"); strategy.parameters:addStringAlternative("Price2", "close", "", "close"); strategy.parameters:addStringAlternative("Price2", "open", "", "open"); strategy.parameters:addStringAlternative("Price2", "high", "", "high"); strategy.parameters:addStringAlternative("Price2", "low", "", "low"); strategy.parameters:addStringAlternative("Price2", "median", "", "median"); strategy.parameters:addStringAlternative("Price2", "typical", "", "typical"); strategy.parameters:addStringAlternative("Price2", "weighted", "", "weighted"); strategy.parameters:addDouble("BL2", "Buy Level", "Level", 20); strategy.parameters:addDouble("SL2", "Sell Level", "Level", 80); strategy.parameters:addGroup("3. Time Frame"); strategy.parameters:addString("TF3", "Time frame", "", "D1"); strategy.parameters:setFlag("TF3", core.FLAG_PERIODS); strategy.parameters:addInteger("N3", "Period", "Period", 14, 1, 1000); strategy.parameters:addString("Price3", "Price", "", "close"); strategy.parameters:addStringAlternative("Price3", "close", "", "close"); strategy.parameters:addStringAlternative("Price3", "open", "", "open"); strategy.parameters:addStringAlternative("Price3", "high", "", "high"); strategy.parameters:addStringAlternative("Price3", "low", "", "low"); strategy.parameters:addStringAlternative("Price3", "median", "", "median"); strategy.parameters:addStringAlternative("Price3", "typical", "", "typical"); strategy.parameters:addStringAlternative("Price3", "weighted", "", "weighted"); strategy.parameters:addDouble("BL3", "Buy Level", "Level", 20); strategy.parameters:addDouble("SL3", "Sell Level", "Level", 80); CreateTradingParameters(); end function CreateTradingParameters() strategy.parameters:addGroup("Trading Parameters"); strategy.parameters:addBoolean("AllowTrade", "Allow strategy to trade", "", false); strategy.parameters:setFlag("AllowTrade", core.FLAG_ALLOW_TRADE); --strategy.parameters:addString("ExecutionType", "End of Turn / Live", "", "End of Turn"); -- strategy.parameters:addStringAlternative("ExecutionType", "End of Turn", "", "End of Turn"); --strategy.parameters:addStringAlternative("ExecutionType", "Live", "", "Live"); strategy.parameters:addBoolean("CloseOnOpposite", "Close On Opposite", "", true); strategy.parameters:addString("CustomID", "Custom Identifier", "The identifier that can be used to distinguish strategy instances", "MTFRSIS"); strategy.parameters:addInteger("MaxNumberOfPositionInAnyDirection", "Max Number Of Open Position In Any Direction", "", 2, 1, 100); strategy.parameters:addInteger("MaxNumberOfPosition", "Max Number Of Position In One Direction", "", 1, 1, 100); strategy.parameters:addString("ALLOWEDSIDE", "Allowed side", "Allowed side for trading or signaling, can be Sell, Buy or Both", "Both"); strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Both", "", "Both"); strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Buy", "", "Buy"); strategy.parameters:addStringAlternative("ALLOWEDSIDE", "Sell", "", "Sell"); strategy.parameters:addString("Direction", "Type of Signal / Trade", "", "direct"); strategy.parameters:addStringAlternative("Direction", "Direct", "", "direct"); strategy.parameters:addStringAlternative("Direction", "Reverse", "", "reverse"); strategy.parameters:addString("Account", "Account to trade on", "", ""); strategy.parameters:setFlag("Account", core.FLAG_ACCOUNT); strategy.parameters:addInteger("Amount", "Trade Amount in Lots", "", 1, 1, 1000000); strategy.parameters:addBoolean("SetLimit", "Set Limit Orders", "", false); strategy.parameters:addInteger("Limit", "Limit Order in pips", "", 30, 1, 10000); strategy.parameters:addBoolean("SetStop", "Set Stop Orders", "", false); strategy.parameters:addInteger("Stop", "Stop Order in pips", "", 30, 1, 10000); strategy.parameters:addBoolean("TrailingStop", "Trailing stop order", "", false); strategy.parameters:addBoolean("Exit", "Use Optional Exit", "", true); strategy.parameters:addGroup("Alerts"); strategy.parameters:addBoolean("ShowAlert", "ShowAlert", "", true); strategy.parameters:addBoolean("PlaySound", "Play Sound", "", false); strategy.parameters:addFile("SoundFile", "Sound File", "", ""); strategy.parameters:setFlag("SoundFile", core.FLAG_SOUND); strategy.parameters:addBoolean("RecurrentSound", "Recurrent Sound", "", true); strategy.parameters:addBoolean("SendEmail", "Send Email", "", false); strategy.parameters:addString("Email", "Email", "", ""); strategy.parameters:setFlag("Email", core.FLAG_EMAIL); strategy.parameters:addGroup("Time Parameters"); strategy.parameters:addInteger("ToTime", "Convert the date to", "", 6); strategy.parameters:addIntegerAlternative("ToTime", "EST", "", 1); strategy.parameters:addIntegerAlternative("ToTime", "UTC", "", 2); strategy.parameters:addIntegerAlternative("ToTime", "Local", "", 3); strategy.parameters:addIntegerAlternative("ToTime", "Server", "", 4); strategy.parameters:addIntegerAlternative("ToTime", "Financial", "", 5); strategy.parameters:addIntegerAlternative("ToTime", "Display", "", 6); strategy.parameters:addString("StartTime", "Start Time for Trading", "", "00:00:00"); strategy.parameters:addString("StopTime", "Stop Time for Trading", "", "24:00:00"); strategy.parameters:addBoolean("UseMandatoryClosing", "Use Mandatory Closing", "", false); strategy.parameters:addString("ExitTime", "Mandatory Closing Time", "", "23:59:00"); strategy.parameters:addInteger("ValidInterval", "Valid interval for operation in second", "", 60); end local Source1, Source2, Source3,Source; local MaxNumberOfPositionInAnyDirection, MaxNumberOfPosition; local SoundFile = nil; local RecurrentSound = false; local ALLOWEDSIDE; local AllowTrade; local Offer; local CanClose; local Account; local Amount; local SetLimit; local Limit; local SetStop; local Stop; local TrailingStop; local ShowAlert; local Email; local SendEmail; local BaseSize; --local ExecutionType; local CloseOnOpposite local first; local Direction; local CustomID; local BL1,SL1, N1, Price1, RSI1; local BL2,SL2, N2, Price2, RSI2; local BL3,SL3, N3, Price3, RSI3; local OpenTime, CloseTime, ExitTime; local ValidInterval,UseMandatoryClosing; local ToTime; local TF; -- function Prepare(nameOnly) CustomID = instance.parameters.CustomID; local name = profile:id() .. "( " .. instance.bid:name() .. "," .. CustomID .. " )"; instance:name(name); if nameOnly then return ; end --ExecutionType = instance.parameters.ExecutionType; CloseOnOpposite = instance.parameters.CloseOnOpposite; MaxNumberOfPositionInAnyDirection = instance.parameters.MaxNumberOfPositionInAnyDirection; MaxNumberOfPosition = instance.parameters.MaxNumberOfPosition; Direction = instance.parameters.Direction == "direct"; BL1 = instance.parameters.BL1; SL1 = instance.parameters.SL1; N1 = instance.parameters.N1; Price1 = instance.parameters.Price1; BL2 = instance.parameters.BL2; SL2 = instance.parameters.SL2; N2 = instance.parameters.N2; Price2 = instance.parameters.Price2; BL3 = instance.parameters.BL3; SL3 = instance.parameters.SL3; N3 = instance.parameters.N3; Price3 = instance.parameters.Price3; TF = instance.parameters.TF; assert(instance.parameters.TF1 ~= "t1", "1. time frame must not be tick"); assert(instance.parameters.TF2 ~= "t1", "2. time frame must not be tick"); assert(instance.parameters.TF3 ~= "t1", "3, time frame must not be tick"); local s, e, s1, e1, s2, e2, s3, e3; s, e = core.getcandle(TF, core.now(), 0, 0); s1, e1 = core.getcandle(instance.parameters.TF1, core.now(), 0, 0); s2, e2 = core.getcandle(instance.parameters.TF2, core.now(), 0, 0); s3, e3 = core.getcandle(instance.parameters.TF3, core.now(), 0, 0); assert ((e - s) <= (e1 - s1), "The chosen time frame must be equal to or bigger than the chart time frame!"); assert ((e - s) <= (e2 - s2), "The chosen time frame must be equal to or bigger than the chart time frame!"); assert ((e - s) <= (e3 - s3), "The chosen time frame must be equal to or bigger than the chart time frame!"); PrepareTrading(); --if ExecutionType== "Live" then Source = ExtSubscribe(1, nil, instance.parameters.TF, instance.parameters.Type == "Bid", "close"); --end Source1 = ExtSubscribe(2, nil, instance.parameters.TF1, instance.parameters.Type == "Bid", "bar"); Source2 = ExtSubscribe(3, nil, instance.parameters.TF2, instance.parameters.Type == "Bid", "bar"); Source3 = ExtSubscribe(4, nil, instance.parameters.TF3, instance.parameters.Type == "Bid", "bar"); RSI1 = core.indicators:create("RSI", Source1[Price1], N1); RSI2 = core.indicators:create("RSI", Source2[Price2], N2); RSI3 = core.indicators:create("RSI", Source3[Price3], N3); ToTime= instance.parameters.ToTime; ValidInterval = instance.parameters.ValidInterval; UseMandatoryClosing = instance.parameters.UseMandatoryClosing; if ToTime == 1 then ToTime=core.TZ_EST; elseif ToTime == 2 then ToTime=core.TZ_UTC; elseif ToTime == 3 then ToTime=core.TZ_LOCAL; elseif ToTime == 4 then ToTime=core.TZ_SERVER; elseif ToTime == 5 then ToTime=core.TZ_FINANCIAL; elseif ToTime == 6 then ToTime=core.TZ_TS; end local valid; OpenTime, valid = ParseTime(instance.parameters.StartTime); assert(valid, "Time " .. instance.parameters.StartTime .. " is invalid"); CloseTime, valid = ParseTime(instance.parameters.StopTime); assert(valid, "Time " .. instance.parameters.StopTime .. " is invalid"); ExitTime, valid = ParseTime(instance.parameters.ExitTime); assert(valid, "Time " .. instance.parameters.ExitTime .. " is invalid"); if UseMandatoryClosing then core.host:execute("setTimer", 100, math.max(ValidInterval / 2, 1)); end end -- NG: create a function to parse time function ParseTime(time) local Pos = string.find(time, ":"); if Pos == nil then return nil, false; end local h = tonumber(string.sub(time, 1, Pos - 1)); time = string.sub(time, Pos + 1); Pos = string.find(time, ":"); if Pos == nil then return nil, false; end local m = tonumber(string.sub(time, 1, Pos - 1)); local s = tonumber(string.sub(time, Pos + 1)); return (h / 24.0 + m / 1440.0 + s / 86400.0), -- time in ole format ((h >= 0 and h < 24 and m >= 0 and m < 60 and s >= 0 and s < 60) or (h == 24 and m == 0 and s == 0)); -- validity flag end function InRange(now, openTime, closeTime) if openTime < closeTime then return now >= openTime and now <= closeTime; end if openTime > closeTime then return now > openTime or now < closeTime; end return now == openTime; end function PrepareTrading() ALLOWEDSIDE = instance.parameters.ALLOWEDSIDE; local PlaySound = instance.parameters.PlaySound; if PlaySound then SoundFile = instance.parameters.SoundFile; else SoundFile = nil; end assert(not(PlaySound) or (PlaySound and SoundFile ~= ""), "Sound file must be chosen"); ShowAlert = instance.parameters.ShowAlert; RecurrentSound = instance.parameters.RecurrentSound; SendEmail = instance.parameters.SendEmail; if SendEmail then Email = instance.parameters.Email; else Email = nil; end assert(not(SendEmail) or (SendEmail and Email ~= ""), "E-mail address must be specified"); AllowTrade = instance.parameters.AllowTrade; Account = instance.parameters.Account; Amount = instance.parameters.Amount; BaseSize = core.host:execute("getTradingProperty", "baseUnitSize", instance.bid:instrument(), Account); Offer = core.host:findTable("offers"):find("Instrument", instance.bid:instrument()).OfferID; CanClose = core.host:execute("getTradingProperty", "canCreateMarketClose", instance.bid:instrument(), Account); SetLimit = instance.parameters.SetLimit; Limit = instance.parameters.Limit; SetStop = instance.parameters.SetStop; Stop = instance.parameters.Stop; TrailingStop = instance.parameters.TrailingStop; end local Last; local LAST; local ONE; function ExtUpdate(id, source, period) -- The method called every time when a new bid or ask price appears. now = core.host:execute("getServerTime"); now= core.host:execute ("convertTime", core.TZ_EST, ToTime, now); -- get only time now = now - math.floor(now); if not InRange(now, OpenTime, CloseTime) then return ; end if AllowTrade then if not(checkReady("trades")) or not(checkReady("orders")) then return ; end end if Source1:size()-1 < Source1:first()+2 or Source2:size()-1 < Source2:first()+2 or Source3:size()-1 < Source3:first()+2 then return; end if id ~= 1 then return; end period1= core.findDate (Source1.close, Source:date(period), false ); period2= core.findDate (Source2.close, Source:date(period), false ); period3= core.findDate (Source3.close, Source:date(period), false ); --period if period1 == -1 or period2 == -1 or period3 == -1 then return; end if ONE == Source:serial(period) then return; end if period1 == -1 or period2 == -1 or period3 == -1 then return; end -- update indicators. RSI1:update(core.UpdateLast); RSI2:update(core.UpdateLast); RSI3:update(core.UpdateLast); if RSI1.DATA[ period1]>BL1 and RSI1.DATA[period1-1]<=BL1 and RSI2.DATA[period2]>BL2 and RSI3.DATA[period3]>BL3 then if Direction then BUY(); else SELL(); end ONE= Source:serial(period); end if RSI1.DATA[period1]=SL1 and RSI2.DATA[period2] RSI3.DATA[period3] then if Direction then if haveTrades("B") then exitSpecific("B"); Signal ("Close Long"); end else if haveTrades("S") then exitSpecific("S"); Signal ("Close Short"); end end end if RSI2.DATA[period2] < RSI3.DATA[period3] then if Direction then if haveTrades("S") then exitSpecific("S"); Signal ("Close Short"); end else if haveTrades("B") then exitSpecific("B"); Signal ("Close Long"); end end end end end -- NG: Introduce async function for timer/monitoring for the order results function ExtAsyncOperationFinished(cookie, success, message) if cookie == 100 then -- timer if UseMandatoryClosing and AllowTrade then now = core.host:execute("getServerTime"); now= core.host:execute ("convertTime", core.TZ_EST, ToTime, now); -- get only time now = now - math.floor(now); -- check whether the time is in the exit time period if now >= ExitTime and now < ExitTime +(ValidInterval / 86400.0) then if not checkReady("trades") then return ; end if haveTrades("B") then exitSpecific("B"); Signal ("Close Long"); end if haveTrades("S") then exitSpecific("S"); Signal ("Close Short"); end end end elseif cookie == 200 and not success then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed" .. message, instance.bid:date(instance.bid:size() - 1)); elseif cookie == 201 and not success then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed" .. message, instance.bid:date(instance.bid:size() - 1)); end end --===========================================================================-- -- TRADING UTILITY FUNCTIONS -- --============================================================================-- function BUY() if AllowTrade then if CloseOnOpposite and haveTrades("S") then -- close on opposite signal exitSpecific("S"); Signal ("Close Short"); end if ALLOWEDSIDE == "Sell" then -- we are not allowed buys. return; end enter("B"); else Signal ("Buy Signal"); end end function SELL () if AllowTrade then if CloseOnOpposite and haveTrades("B") then -- close on opposite signal exitSpecific("B"); Signal ("Close Long"); end if ALLOWEDSIDE == "Buy" then -- we are not allowed sells. return; end enter("S"); else Signal ("Sell Signal"); end end function Signal (Label) if ShowAlert then terminal:alertMessage(instance.bid:instrument(), instance.bid[NOW], Label, instance.bid:date(NOW)); end if SoundFile ~= nil then terminal:alertSound(SoundFile, RecurrentSound); end if Email ~= nil then terminal:alertEmail(Email, Label, profile:id() .. "(" .. instance.bid:instrument() .. ")" .. instance.bid[NOW]..", " .. Label..", " .. instance.bid:date(NOW)); end end function checkReady(table) local rc; if Account == "TESTACC_ID" then -- run under debugger/simulator rc = true; else rc = core.host:execute("isTableFilled", table); end return rc; end function tradesCount(BuySell) local enum, row; local count = 0; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); while row ~= nil do if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then count = count + 1; end row = enum:next(); end return count; end function haveTrades(BuySell) local enum, row; local found = false; enum = core.host:findTable("trades"):enumerator(); row = enum:next(); while (row ~= nil) do if row.AccountID == Account and row.OfferID == Offer and row.QTXT == CustomID and (row.BS == BuySell or BuySell == nil) then found = true; break; end row = enum:next(); end return found; end -- enter into the specified direction function enter(BuySell) -- do not enter if position in the specified direction already exists if tradesCount(BuySell) >= MaxNumberOfPosition or ((tradesCount(nil)) >= MaxNumberOfPositionInAnyDirection) then return true; end -- send the alert after the checks to see if we can trade. if (BuySell == "S") then Signal ("Sell Signal"); else Signal ("Buy Signal"); end return MarketOrder(BuySell); end -- enter into the specified direction function MarketOrder(BuySell) local valuemap, success, msg; valuemap = core.valuemap(); valuemap.Command = "CreateOrder"; valuemap.OrderType = "OM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.Quantity = Amount * BaseSize; valuemap.BuySell = BuySell; valuemap.CustomID = CustomID; -- add stop/limit valuemap.PegTypeStop = "O"; if SetStop then if BuySell == "B" then valuemap.PegPriceOffsetPipsStop = -Stop; else valuemap.PegPriceOffsetPipsStop = Stop; end end if TrailingStop then valuemap.TrailStepStop = 1; end valuemap.PegTypeLimit = "O"; if SetLimit then if BuySell == "B" then valuemap.PegPriceOffsetPipsLimit = Limit; else valuemap.PegPriceOffsetPipsLimit = -Limit; end end if (not CanClose) then valuemap.EntryLimitStop = 'Y' end success, msg = terminal:execute(200, valuemap); if not(success) then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Open order failed" .. msg, instance.bid:date(instance.bid:size() - 1)); return false; end return true; end function exitSpecific(BuySell) if not AllowTrade then return; end --side -- closes all positions of the specified direction (B for buy, S for sell) local enum, row, valuemap; enum = core.host:findTable("trades"):enumerator(); while true do row = enum:next(); if row == nil then break; end if row.AccountID == Account and row.OfferID == Offer and row.BS == BuySell and row.QTXT == CustomID then -- if trade has to be closed if CanClose then -- non-FIFO account, create a close market order valuemap = core.valuemap(); valuemap.OrderType = "CM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; valuemap.Quantity = row.Lot; valuemap.TradeID = row.TradeID; valuemap.CustomID = CustomID; if row.BS == "B" then valuemap.BuySell = "S"; else valuemap.BuySell = "B"; end success, msg = terminal:execute(201, valuemap); if not(success) then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed" .. msg, instance.bid:date(instance.bid:size() - 1)); return false; end else -- FIFO account, create an opposite market order valuemap = core.valuemap(); valuemap.OrderType = "OM"; valuemap.OfferID = Offer; valuemap.AcctID = Account; --valuemap.Quantity = Amount*BaseSize; valuemap.Quantity = row.Lot; valuemap.CustomID = CustomID; if row.BS == "B" then valuemap.BuySell = "S"; else valuemap.BuySell = "B"; end success, msg = terminal:execute(201, valuemap); if not(success) then terminal:alertMessage(instance.bid:instrument(), instance.bid[instance.bid:size() - 1], "Close order failed" .. msg, instance.bid:date(instance.bid:size() - 1)); return false; end end end end end dofile(core.app_path() .. "\\strategies\\standard\\include\\helper.lua");